I recently installed OpenBSD and I can play sound through headphones but not through the laptop speakers. I can't rule out the possibility that it's because of a hardware issue (the speakers sometimes fail in Linux), but they do work around half of the time in Linux and I haven't gotten them to work at all in OpenBSD yet.

Actually, quite a bit of the mixerctl knobs for azalia(4) are documented in the man page as of recently.

OpenBSD has a single driver for these devices, and it's really hard to pick "defaults" that will work everywhere.. so as recommended, you'll probably need to fiddle with mixerctl to get the internal speakers working.